Cold gas dynamic spraying (CGDS) is a relatively new technology of cold spraying techniques that uses converging-diverging (De Laval) nozzle at a supersonic velocity to accelerate different solid powders towards a substrate where it plastically deforms on the substrate. This deformation results in adhesion to the surface. Several materials with viable deposition capability have been processed through cold spraying, including metals, ceramics, composite materials, and polymers, thereby creating a wide range of opportunities towards harnessing various properties. CGDS is one of the innovative cold spraying processes with fast-growing scientific interests and industrial applications in the field of aerospace, automotive and biotechnology, over the past years. Cold gas spraying with a wide range of materials offers corrosion protection and results in increases in mechanical durability and wear resistance. It creates components with different thermal and electrical conductivities than that substrates would yield, or produces coatings on the substrate components as thermal insulators and high fatigue-strength coatings, and for clearance control, restoration and repairing, or prostheses with improved wear, and produces components with attractive appearances. This review extensively exploits the latest developments in the experimental analysis of CGDS processes. Cold gas dynamic spraying system, coating formation and deposit development, description of process parameter and principles, are summarized. Industrial applications and prospectives of CGDS in future research are also commented.